CBOE RMC Day 3 Recap

The final day began at CBOE’s Risk Management Conference with a very timely address from Jim VandeHei President and CEO of POLITICO.  He offered extensive insight into the current presidential race and this was a timely presentation considering yesterday was Super Tuesday.  An interview with VandeHei appears at the CBOE RMC Video Highlights Page.

There were two tracks today, one focusing on directional trading and the other focusing on volatility.

The first directionally oriented presentation was How to Improve Directional Trading Using Correlation Information.  This presentation teamed up Ryan McRandal from One River Asset Management and Nitin Saksena from B of A Merill Lynch.  They noted how directional option holders can benfit from different price paths along with combining expected correlated paths into a single spread trade.

The second session focusing on directional trades was conducted by Ilya Feygin from WallachBeth Capital LLC and Michael Khouw President of Optimize Advisors and Chief Strategist for Tradelegs LLC.  Their session was titled Directional Options Trading and Strategy – How to Effectively Manage a Directional Options Portfolio.  Trading based on relative outlooks as well as trades that incorporate projected moves versus expected moves were discussed in this session.

The track that focused on volatility started with a presentation from Maneesh Deshpande from Barclays and Samuel Vazquez Ph.D. from Capstone Investment advisors.  Their discussion was titled The Evolving Dynamics of VIX Futures which focused on the term structure of VIX futures and the impact of other volatility derivatives on the steepness of the VIX futures curve.

The final volatility oriented section teamed up Vishnu Kurella from Caxton Associates and Ramon Verastegui from Societe Generale.  They talked about Cross-Region Volatility Analysis for Investing and Hedging which was a serious discussion about how the uses of derivatives in different parts of the world and the impact it has on option implied volatility.